Screening for High ROE, Trading Range, and Strong Auction Activity

Summary

This post presents an equity screen that selects stocks with a daily high-low range above one unit and return on equity above 15% in each of the previous five years, then ranks candidates by the day’s auction amount and keeps the top five. Its proposed refinement also requires price-to-earnings and price-to-book ratios below their respective industry averages. The post includes formula and Python examples for applying these filters, but does not provide a backtest or performance results.

The screen combines a profitability persistence condition with a price-range threshold and a measure of current auction participation. The author cautions that it does not adequately account for price fluctuations, that auction amounts may need adjustment, and that historical data cannot guarantee future outcomes. The proposed improvements include adding volatility-related measures, other fundamental or technical filters, and stop-loss rules. The examples leave implementation details open, including how to align five years of ROE observations and compute industry benchmarks, so the definitions and timing of each input require verification.

Key ideas

• The initial screen combines a daily price-range threshold with five consecutive years of ROE above 15%.
• Candidates are ranked by auction amount, with the top five selected.
• The suggested refinement adds valuation ratios below industry averages.
• The post identifies auction-data adjustment and price volatility as potential sources of error.
• No backtest or performance evidence is reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.